InterpolatedOptionletCurve< Interpolator > Class Template Reference

#include <qle/termstructures/optionletcurve.hpp>

Inheritance diagram for InterpolatedOptionletCurve< Interpolator >:

Collaboration diagram for InterpolatedOptionletCurve< Interpolator >:

Public Member Functions
	InterpolatedOptionletCurve (const std::vector< QuantLib::Date > &dates, const std::vector< QuantLib::Real > &volatilities, QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dayCounter, const QuantLib::Calendar &calendar=QuantLib::Calendar(), QuantLib::VolatilityType volatilityType=QuantLib::Normal, QuantLib::Real displacement=0.0, bool flatFirstPeriod=true, const Interpolator &interpolator=Interpolator())
TermStructure interface
QuantLib::Date	maxDate () const override
VolatilityTermStructure interface
QuantLib::Rate	minStrike () const override
QuantLib::Rate	maxStrike () const override

OptionletVolatilityStructure interface
std::vector< QuantLib::Date >	dates_
	The fixing dates of the index underlying the optionlets. More...
QuantLib::VolatilityType	volatilityType_
	The optionlet volatility type. More...
QuantLib::Real	displacement_
	If the volatility type is ShiftedLognormal, this holds the shift value. More...
bool	flatFirstPeriod_
	True if the volatility from the initial date to the first date is assumed flat. More...
QuantLib::VolatilityType	volatilityType () const override
QuantLib::Real	displacement () const override
QuantLib::ext::shared_ptr< QuantLib::SmileSection >	smileSectionImpl (QuantLib::Time optionTime) const override
QuantLib::Real	volatilityImpl (QuantLib::Time optionTime, QuantLib::Rate strike) const override
void	initialise ()
	Initialise the dates and the interpolation object. More...

Other inspectors
const std::vector< QuantLib::Time > &	times () const
const std::vector< QuantLib::Date > &	dates () const
const std::vector< QuantLib::Real > &	volatilities () const
const std::vector< QuantLib::Real > &	data () const
std::vector< std::pair< QuantLib::Date, QuantLib::Real > >	nodes () const
	InterpolatedOptionletCurve (QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dayCounter, QuantLib::VolatilityType volatilityType=QuantLib::Normal, QuantLib::Real displacement=0.0, bool flatFirstPeriod=true, const Interpolator &interpolator=Interpolator())
	InterpolatedOptionletCurve (const QuantLib::Date &referenceDate, const QuantLib::Calendar &calendar, QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dayCounter, QuantLib::VolatilityType volatilityType=QuantLib::Normal, QuantLib::Real displacement=0.0, bool flatFirstPeriod=true, const Interpolator &interpolator=Interpolator())
	InterpolatedOptionletCurve (QuantLib::Natural settlementDays, const QuantLib::Calendar &calendar, QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dayCounter, QuantLib::VolatilityType volatilityType=QuantLib::Normal, QuantLib::Real displacement=0.0, bool flatFirstPeriod=true, const Interpolator &interpolator=Interpolator())

Detailed Description

template<class Interpolator>
class QuantExt::InterpolatedOptionletCurve< Interpolator >

OptionletVolatilityStructure based on interpolation of one-dimensional vector of optionlet volatilities

The intended use case for this class is to represent the optionlet volatilities along a strike column of a cap floor volatility surface.

Definition at line 43 of file optionletcurve.hpp.

Constructor & Destructor Documentation

InterpolatedOptionletCurve() [1/4]

InterpolatedOptionletCurve	(	const std::vector< QuantLib::Date > &	dates,
		const std::vector< QuantLib::Real > &	volatilities,
		QuantLib::BusinessDayConvention	bdc,
		const QuantLib::DayCounter &	dayCounter,
		const QuantLib::Calendar &	calendar = QuantLib::Calendar(),
		QuantLib::VolatilityType	volatilityType = QuantLib::Normal,
		QuantLib::Real	displacement = 0.0,
		bool	flatFirstPeriod = true,
		const Interpolator &	interpolator = Interpolator()
	)

Constructor

Parameters

dates	The fixing dates of the underlying interest rate index
volatilities	The optionlet volatility at each of the dates
bdc	Business day convention used when getting an optionlet expiry date from an optionlet expiry tenor
dayCounter	The day counter used to convert dates to times
calendar	The calendar used when getting an optionlet expiry date from an optionlet expiry tenor and. Also used to advance from today to reference date if necessary.
volatilityType	The volatility type of the provided volatilities
displacement	The applicable shift size if the volatilityType is ShiftedLognormal
flatFirstPeriod	If the volatility between the first date and second date in dates is assumed constant and equal to the second element of volatilities. This means that the first element of volatilities is ignored.
interpolator	The interpolation object used to interpolate between the provided dates

Definition at line 149 of file optionletcurve.hpp.

    : QuantLib::OptionletVolatilityStructure(dates.at(0), calendar, bdc, dayCounter),
      QuantLib::InterpolatedCurve<Interpolator>(std::vector<QuantLib::Time>(), volatilities, interpolator),
      dates_(dates), volatilityType_(volatilityType), displacement_(displacement), flatFirstPeriod_(flatFirstPeriod) {
    initialise();
}

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InterpolatedOptionletCurve() [2/4]

InterpolatedOptionletCurve ( QuantLib::BusinessDayConvention  bdc, const QuantLib::DayCounter &  dayCounter, QuantLib::VolatilityType  volatilityType = QuantLib::Normal, QuantLib::Real  displacement = 0.0, bool  flatFirstPeriod = true, const Interpolator &  interpolator = Interpolator()  )

protected

Definition at line 161 of file optionletcurve.hpp.

    : QuantLib::OptionletVolatilityStructure(bdc, dayCounter), QuantLib::InterpolatedCurve<Interpolator>(interpolator),
      volatilityType_(volatilityType), displacement_(displacement), flatFirstPeriod_(flatFirstPeriod) {}

InterpolatedOptionletCurve() [3/4]

InterpolatedOptionletCurve ( const QuantLib::Date &  referenceDate, const QuantLib::Calendar &  calendar, QuantLib::BusinessDayConvention  bdc, const QuantLib::DayCounter &  dayCounter, QuantLib::VolatilityType  volatilityType = QuantLib::Normal, QuantLib::Real  displacement = 0.0, bool  flatFirstPeriod = true, const Interpolator &  interpolator = Interpolator()  )

protected

Definition at line 170 of file optionletcurve.hpp.

    : QuantLib::OptionletVolatilityStructure(referenceDate, calendar, bdc, dayCounter),
      QuantLib::InterpolatedCurve<Interpolator>(interpolator), volatilityType_(volatilityType),
      displacement_(displacement), flatFirstPeriod_(flatFirstPeriod) {}

InterpolatedOptionletCurve() [4/4]

InterpolatedOptionletCurve ( QuantLib::Natural  settlementDays, const QuantLib::Calendar &  calendar, QuantLib::BusinessDayConvention  bdc, const QuantLib::DayCounter &  dayCounter, QuantLib::VolatilityType  volatilityType = QuantLib::Normal, QuantLib::Real  displacement = 0.0, bool  flatFirstPeriod = true, const Interpolator &  interpolator = Interpolator()  )

protected

Definition at line 179 of file optionletcurve.hpp.

    : QuantLib::OptionletVolatilityStructure(settlementDays, calendar, bdc, dayCounter),
      QuantLib::InterpolatedCurve<Interpolator>(interpolator), volatilityType_(volatilityType),
      displacement_(displacement), flatFirstPeriod_(flatFirstPeriod) {}

Member Function Documentation

maxDate()

QuantLib::Date maxDate

override

Definition at line 187 of file optionletcurve.hpp.

                                                                                    {
    if (this->maxDate_ != Date())
        return this->maxDate_;
    return dates_.back();
}

minStrike()

QuantLib::Rate minStrike

override

Definition at line 193 of file optionletcurve.hpp.

                                                                                      {
    if (volatilityType() == QuantLib::ShiftedLognormal) {
        return displacement_ > 0.0 ? -displacement_ : 0.0;
    } else {
        return QL_MIN_REAL;
    }
}

maxStrike()

QuantLib::Rate maxStrike

override

Definition at line 201 of file optionletcurve.hpp.

{ return QL_MAX_REAL; }

volatilityType()

QuantLib::VolatilityType volatilityType

override

Definition at line 203 of file optionletcurve.hpp.

                                                                                                     {
    return volatilityType_;
}

displacement()

QuantLib::Real displacement

override

Definition at line 207 of file optionletcurve.hpp.

{ return displacement_; }

times()

const std::vector< QuantLib::Time > & times

Definition at line 209 of file optionletcurve.hpp.

                                                                                                    {
    return this->times_;
}

dates()

const std::vector< QuantLib::Date > & dates

Definition at line 213 of file optionletcurve.hpp.

                                                                                                    {
    return dates_;
}

volatilities()

const std::vector< QuantLib::Real > & volatilities

Definition at line 217 of file optionletcurve.hpp.

                                                                                                           {
    if (flatFirstPeriod_)
        this->data_[0] = this->data_[1];
    return this->data_;
}

data()

const std::vector< QuantLib::Real > & data

Definition at line 223 of file optionletcurve.hpp.

                                                                                                   {
    if (flatFirstPeriod_)
        this->data_[0] = this->data_[1];
    return this->data_;
}

nodes()

std::vector< std::pair< QuantLib::Date, QuantLib::Real > > nodes

Definition at line 230 of file optionletcurve.hpp.

                                                                                                  {
    std::vector<std::pair<QuantLib::Date, QuantLib::Real> > results(dates_.size());
    for (QuantLib::Size i = 0; i < dates_.size(); ++i)
        results[i] = std::make_pair(dates_[i], this->data_[i]);
    if (flatFirstPeriod_)
        results[0].second = this->data_[1];
    return results;
}

smileSectionImpl()

QuantLib::ext::shared_ptr< QuantLib::SmileSection > smileSectionImpl ( QuantLib::Time  optionTime ) const

overrideprotected

Gives a flat SmileSection at the requested optionTime. The flat value is obtained by interpolating the input volatilities at the given optionTime.

Definition at line 241 of file optionletcurve.hpp.

                                                                             {
    QuantLib::Volatility vol = volatility(optionTime, 0.0, true);
    return QuantLib::ext::make_shared<QuantLib::FlatSmileSection>(
        optionTime, vol, dayCounter(), QuantLib::Null<QuantLib::Rate>(), volatilityType_, displacement_);
}

volatilityImpl()

QuantLib::Real volatilityImpl ( QuantLib::Time  optionTime, QuantLib::Rate  strike  ) const

overrideprotected

Gives the interpolated optionlet volatility at the requested optionTime. The strike is ignored.

Definition at line 248 of file optionletcurve.hpp.

                                                                                                             {
    if (flatFirstPeriod_ && optionTime < this->times_[1])
        return this->data_[1];
    else
        return this->interpolation_(optionTime, true);
}

initialise()

void initialise

private

Initialise the dates and the interpolation object.

Definition at line 255 of file optionletcurve.hpp.

                                                                  {
 
    QL_REQUIRE(dates_.size() >= T::requiredPoints, "Not enough input dates given for interpolation method");
    QL_REQUIRE(this->data_.size() == dates_.size(), "Number of dates does not equal the number of volatilities");
 
    this->times_.resize(dates_.size());
    this->times_[0] = 0.0;
    for (QuantLib::Size i = 1; i < dates_.size(); ++i) {
        QL_REQUIRE(dates_[i] > dates_[i - 1], "Dates must be increasing but "
                                                  << QuantLib::io::ordinal(i) << " date " << dates_[i]
                                                  << " is not after " << QuantLib::io::ordinal(i - 1) << " date "
                                                  << dates_[i - 1]);
        this->times_[i] = dayCounter().yearFraction(dates_[0], dates_[i]);
        QL_REQUIRE(!QuantLib::close(this->times_[i], this->times_[i - 1]),
                   "The " << QuantLib::io::ordinal(i) << " date " << dates_[i] << " and "
                          << QuantLib::io::ordinal(i - 1) << " date " << dates_[i - 1]
                          << " correspond to the same time, " << this->times_[i]
                          << ", under this curve's day count convention, " << dayCounter());
        QL_REQUIRE(this->data_[i] > 0.0,
                   "The " << QuantLib::io::ordinal(i) << " volatility, " << this->data_[i] << ", is not positive");
    }
 
    if (flatFirstPeriod_)
        this->data_[0] = this->data_[1];
 
    this->setupInterpolation();
}

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Member Data Documentation

dates_

std::vector<QuantLib::Date> dates_

mutableprotected

The fixing dates of the index underlying the optionlets.

Definition at line 127 of file optionletcurve.hpp.

volatilityType_

QuantLib::VolatilityType volatilityType_

private

The optionlet volatility type.

Definition at line 131 of file optionletcurve.hpp.

displacement_

QuantLib::Real displacement_

private

If the volatility type is ShiftedLognormal, this holds the shift value.

Definition at line 134 of file optionletcurve.hpp.

flatFirstPeriod_

bool flatFirstPeriod_

private

True if the volatility from the initial date to the first date is assumed flat.

Definition at line 137 of file optionletcurve.hpp.